Browsing Faculty Publications (Bibliographic) by Author "Bhanu, Aniket"
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Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Bhanu, Aniket; Virmani, Vineet (Infopro Digital Services, 2023-09-04)Central counterparties carry out stress tests using historical and hypothetical stress scenarios to assess the adequacy of their default management resources. Parametric models for the construction of hypothetical stress ...